Step 1: Choose a Faction: This is typically the hardest part of 40k is choosing your first faction. From the start it may seem like their are to many options and you may feel that you have to make a choice. Now I am not going to go into the pro's and con's of each army, I am planning on doing that for my next article. I will tell you however to spend an afternoon and read as much as you can about the different armies both on GW's Site. Read the fluff (read: story elements), look at the models and examine the rules. Also ask your friend, although I would caution that many warhammer players can be jaded or in love with a particular faction, so use your best judgement as far as that goes. Whatever you do go with an army you like, not what you think is best, because regardless of what anyone may tell you, their are no armies that are the best. They can all be played at competitive levels with the proper amount of knowledge of the rules and tactical acumen.
Their are armies that are either dated (meaning they haven't received a source book in sometime) or they have a steeper learning curve for new players (They require a little more experience to play). However this shouldn't discourage you. You will be much more pleased with an army you enjoy and probably do much better than with an army you think is the "best".
Step 2 The Initial Purchase: Let's be honest Warhammer 40k, like many other hobby's, can get pretty expensive. At first glance you might be looking at the price tag and counting up that dream army's cost thinking that it all seems hopeless. First thing I'll tell you is that even though it is awesome to have such a large painted army on the field it isn't something that is so great to buy all at once. The first army I ever purchased was my tyranid army. At the time I was impatient to start playing that i took my tax return and bought my entire 2000 point army in one go. While I was happy as a hippy in the grass for quite sometime after the new car smell had worn away, despair had set in as I looked at the amount of models I had to glue together and paint. Now I was lucky in the fact that I had no shame in proxy play (the act of substituting the actual model for something else). Some people purchase their entire armies all at once only to realise that either a unit doesn't perform as good as they thought it would or some other related issue.
This is why in step one, my advise would be to do the following. Plan on spending a "modest" amount. Just about enough to get you about 500 points worth of models. Basically pace yourself and give yourself sometime to learn the game, put the models you want together, and paint them to your satisfaction. A good purchase is the Assault of Black Reach starter set. This set comes with some space marine models, some ork models, a rulebook, templates and measurement sticks, and some dice. All in all it isn't a bad purchase. It gives you everything you need to play a basic game to give you a good understanding of the rules. It will also give you an idea of what might be potentially effective when you do purchase more models. Don't worry if you plan to play a different faction. People are usually in need of marines and I can't think of a single ork player who couldn't use more boyz.
The second option you can go with is to purchase a box set. This usually is a boxed army with some base essentials to play a small army (500-1000 pts). These units are more or less the base units you will most likely use plus another model or two. Sometime they have more than one size of box set. These larger box sets will include another vehicle or similar model. My only reservations about this is that it doesn't get you the rulebook, nor does it give you give you good units necessarily. Also not all the box sets are equivalent, Regardless of whether of not this is a consideration for you, I would suggest that if you decide to go with a army box, to add up the cost of the units if you had purchased them separate, comparing with the value of the units in your eyes and deciding if you are getting a good deal out of the purchase.
In either case I think that with your initial purchase you will want to get what you need to play and the units you intend to use. While the Assault on Black Reach may not contain the two factions you are interested in it does give you a basic idea of the game so you can buy what you want. The Army specific box will give you the units for your army but you will need to examine the purchase a little more to make sure you are getting exactly what you want.
All together if you take a minute, learn a little bit about the game, and plan a purchase, you will be much more satisfied with it.
Step 3: Learn the game: I have this as step 3 but really it is something that you should start before you have purchased any significant amount of models, as it will be a step that you will be continually doing through out the time you are playing.
When you begin I would start by taking some other models and play as many games as you can. If you haven't purchased any models then you can either ask a friend to use his army or proxy play. Proxy play is done by taking any other model of the same rough size and height and substituting it in the place of the model you want to use. Just make sure you inform your opponent of what is what, and that he/she is ok with you using proxies. This is fine for a while and you will get a good idea of the game. Also have other players help you with the rules. Ask questions, get answers.
Just keep in mind that you might not win your initial game necessarily. Basically use this time to learn what factions you are interested in. Also what units work well for you and which ones don't. At this phase you should also pick up a Codex. A Codex is basically a source book for your faction. It lists all the necessary special rules, Unit entries, and fluff for your army. In order to play an army you are going to need one. This book will become invaluable to you. It will also give you an idea if you really want to go with the faction you want.
Step 4: Assembling your model: Okay you have your faction, your codex for that faction, and models. Now you want to put them together.
Stop right there....you have two stops on the way home.
One is to hobby or crafts store. There you will pick up a small hobby file set, a hobby knife (or exacto knife) and super glue. These things may be sold in the store you purchased your models in as well. The hobby file set will be needed to file down any imperfections on the model from it's production. The Hobby knife is used for the same and is generally useful to have.
Your next stop will be to home depot or similar location. Here you will pick up a pair of wire clippers. These are used for cutting out the models from the sprue's and are make the process extremely painless. Make sure you purchase a pair of clippers will a flat side, so as to bring the clippers flush to the model and not have a burr or other piece of unwanted plastic.
Also while you are here you are going to grab a plain flat while tile and craftsmen s measuring tape. The first is useful for when you paint the models and the second is useful for playing the game.
One common mistake made by people getting into the game is to glue pieces on their models that they may not want on them later. One technique you may want to learn how to do to remedy this, is how to magnetize your models. This is done by taking small rare earth magnets and placing them on your models arm sockets of underneath a vehicles turrets, to make it modular. Doing this makes it to where you can swap out a models armament to fit your lists needs and can save you a great deal of money.
For more information on modelling, there are a wealth of video's on youtube. I will also try to film some video's of my own in the future.
Well now that you have assembled your models you can start waging war with your friends over tiny objective and 6 x4 tables. This is only the first couple of things you will end up doing, but they are the first necessary steps to take and with some of the above suggestions I hope that you will be able to enjoy your hobby more, while avoiding some of the pitfalls.